Nikos is a senior manager in a large mutual fund, where he is working with two...

 

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Nikos is a senior manager in a large mutual fund, where he is working with two of his former students; Stavroula and Giacomo. They are responsible for the regional portfolios of the fund in Greece (Ali) and Italy (Dustin), currently valued at $500 million each. The Greek portfolio is expected to make 8% next year with o = 0.3, while the Italian portfolio has expected return 4%. The returns of both are distributed normally. Nikos has asked his former students to estimate the Value-at-Risk at the 10% for each position. 1. Help Ali estimate V aR10% of the Greek portfolio (in $). 2. Dustin finds that the two portfolios have the same V aR10%. What is the standard deviation of the Italian portfolio? Nikos is a senior manager in a large mutual fund, where he is working with two of his former students; Stavroula and Giacomo. They are responsible for the regional portfolios of the fund in Greece (Ali) and Italy (Dustin), currently valued at $500 million each. The Greek portfolio is expected to make 8% next year with o = 0.3, while the Italian portfolio has expected return 4%. The returns of both are distributed normally. Nikos has asked his former students to estimate the Value-at-Risk at the 10% for each position. 1. Help Ali estimate V aR10% of the Greek portfolio (in $). 2. Dustin finds that the two portfolios have the same V aR10%. What is the standard deviation of the Italian portfolio?

Answer rating: 100% (QA)

To estimate the VaR at 10 for the Greek portfolio we need to find the 10th percentile of the n... View the full answer